Asymptotic properties for quadratic functionals of linear self-repelling diffusion process and applications. Issue 4 (4th July 2022)

• Record Type: Journal Article
• Authors: Pan, Yajuan; Jiang, Hui
• Is Part Of: Stochastic analysis and applications. Volume 40:Issue 4(2022)
• Page Start: 691
• Page End: 713
• Publication Date: 2022-07-04
• Subjects: Deviation inequality -- Cramér-type moderate deviations -- multiple Wiener-Itô integrals -- self-repelling diffusion process; 60F10 -- 60G22 -- 62N02; Stochastic analysis -- Periodicals; 519.2205
• DOI: 10.1080/07362994.2021.1950013
• Languages: English
• ISSNs: 0736-2994

Abstract

ABSTRACT: In this article, for some quadratic functionals of linear self-repelling diffusion process, we study the asymptotic properties, including the deviation inequalities and Cramér-type moderate deviations. The main methods consist of the deviation inequalities for multiple Wiener-Itô integrals, as well as the asymptotic analysis techiniques. As applications, (self-normalized) Cramér-type moderate deviations for the log-likelihood ratio process and drift parameter estimator are obtained.